The numeraire portfolio for unbounded semimartingales

被引：19
|
作者：
Dirk Becherer
机构：
[1] Technische Universität Berlin,
[2] Mathematik,undefined
[3] MA 7-4,undefined
[4] Str. des 17. Juni 136,undefined
[5] 10623 Berlin,undefined
[6] Germany (e-mail: becherer@math.tu-berlin.de ) ,undefined
来源：
Finance and Stochastics | 2001年 / 5卷 / 3期
关键词：
Key words: Numeraire portfolio, change of numeraire, martingale measures, growth optimal portfolio, relative entropy; JEL Classification: G10, G13; Mathematics Subject Classification (2000): 60H30, 60G44, 91B16, 91B28;
D O I：
10.1007/PL00013535
中图分类号：
学科分类号：
摘要：
引用
收藏
页码：327 / 341
页数：14
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